SA305 – Linear Programming
Asst. Prof. Nelson Uhan
Spring 2014
Lesson 22. Linear Programs in Canonical Form
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Warm up
Example 1. Let
A=(
1 9 8
)
5 2 3
⎛ x1 ⎞
x = ⎜x2 ⎟
⎝x3 ⎠
Compute Ax.
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Canonical form
● LP in canonical form with decision variables x1 , . . . , x n :
n
minimize / maximize
∑ c jx j
j=1
n
subject to
for i ∈ {1, . . . , m}
∑ ai j x j = bi
j=1
xj ≥ 0
for j ∈ {1, . . . , n}
● In vector-matrix notation with decision variable vector x = (x1 , . . . , x n ):
minimize / maximize cT x
subject to
Ax = b
x≥0
○ A has m rows and n columns, b has m components, and c and x has n components
● We typically assume that m ≤ n, and rank(A) = m
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Example 2. Identify x, c, A, and b in the following canonical form LP:
maximize
3x + 4y − z
subject to
2x − 3y + z = 10
7x + 2y − 8z = 5
x ≥ 0, y ≥ 0, z ≥ 0
● A canonical form LP always has at least 1 extreme point (if it is feasible)
○ Intuition: if solutions in the feasible region must satisfy x ≥ 0, then the feasible region must be
“pointed”
x2
x1
2
Converting any LP to an equivalent canonical form LP
● Inequalities → equalities
○ Slack and surplus variables “consume the difference” between the LHS and RHS
○ If constraint i is a ≤-constraint, add a slack variable s i :
n
∑ ai j x j ≤ bi
⇒
j=1
○ If constraint i is a ≥-constraint, subtract a surplus variable s i :
n
∑ ai j x j ≥ bi
⇒
j=1
2
● Nonpositive variables → nonnegative variables
○ If x j ≤ 0, then introduce a new variable x ′j and substitute x j = −x ′j everywhere – in particular:
● Unrestricted (“free”) variables → nonnegative variables
○ If x j is unrestricted in sign, introduce 2 new nonnegative variables x +j , x −j
○ Substitute x j = x +j − x −j everywhere
○ Why does this work?
◇ Any real number can be expressed as the difference of two nonnegative numbers
Example 3. Convert the following LPs to canonical form.
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maximize
3x + 8y
minimize
5x1 − 2x2 + 9x3
subject to
x + 4y ≤ 20
subject to
3x1 + x2 + 4x3 = 8
x+y≥9
2x1 + 7x2 − 6x3 ≤ 4
x ≥ 0, y free
x1 ≤ 0, x2 ≥ 0, x3 ≥ 0
Next time...
● Basic solutions of canonical form LPs
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